We exploit the rationale behind the Expectation Maximization algorithm to derive simple to implement and interpret score tests of normality in the innovations to the latent variables in state space models against generalized hyperbolic alternatives, including symmetric and asymmetric Student-ts. We decompose our tests into third and fourth moment components, and obtain one-sided likelihood ratio analogues, whose asymptotic distribution we provide. When we apply them to a cointegrated dynamic factor model which combines the expenditure and income versions of US aggregate real output to improve its measurement, we reject normality if the sample period extends beyond the Great Moderation.

演讲人简介：

Dr. Amengual is currently associate professor (with Tenure) at CEMFI, Madrid. He obtained his Ph.D. from Princeton University in 2009. His fields of interest include Econometrics, Asset pricing, and Financial Econometrics. His research papers has appeared on journals such as Journal of Econometrics, Journal of Business and Economic Statistics, and Journal of Financial Econometrics.